The indices were created to meet the demands of institutional hedge fund investors
seeking more representative benchmarks that reflect the goals of distinct volatility-based strategies.
As hedge funds that invest in volatility-based strategies differ quite dramatically, being net long
volatility, net short and neutral, the CBOE Eurekahedge Volatility Indexes contain a broad number of
funds in the volatility space. The four benchmark indices are available at
www.eurekahedge.com/indices/hedge_fund_volatility_indices
along with the aggregate performance returns and a full list of the funds in each index. The CBOE Eurekahedge Volatility Indexes methodology is as follows.

Methodology - Hedge Fund Index

Mean returns

The monthly index values are the respective mathematical means (average) of the monthly returns of all hedge fund constituents in the index at that time.

Return definition

The returns reported in the database as well as being included and calculated for indices are monthly returns provided by hedge funds on a monthly basis. The returns are measured in terms of the gain/loss of the total portfolio values by performance (net of all fees) and net AUM inflow/outflow are excluded from it.

Equal weighting

where n is number of funds

The indices are not asset-weighted. We simply give an overview of the average performance of hedge funds, without attempting to highlight monthly inflows and unjustly overweigh the performance of certain funds due to good marketing staff or location in investor hot spots.

Strategy classifications

Funds are categorised primarily based on their investment style. As well as utilising our in-house expertise of classifying hedge funds across various investment strategies, we have meticulously conferred with hedge fund managers to better understand their unique investment styles as well as run quantitative analysis on their individual performance numbers to classify each fund in a unique investment style bucket. We do not include duplicate funds in the indices.

Dead, closed and new funds

The returns for dead funds have been included in the indices to better capture the performance of each underlying strategy as well as to avoid for a survivorship bias. Historical returns for funds that liquidate will be maintained and reflected in the index values up to and including their last reporting month. Furthermore, since the rationale behind our suite of indices is relative benchmarking (rather than making them investible), funds that are closed for further capital inflows are also included in an index. For new funds that are added in, their performance numbers will only be included on a prospective basis and subject to a key index rule that returns prior to 3 months shall be locked in. This is to avoid for a backfilling bias as well as to ensure that index values prior to the most recent 3 months do not undergo changes over time.

Currency

Equal weighting also encompasses funds denominated in different currencies, such as US dollar, euro and Japanese yen. The index is purely an average of the performance of the constituent funds in their local currencies.

Unique funds

Only ‘unique’ funds are selected for the index (no duplicate share classes, currency denominations, onshore and offshore versions of the same fund, series, etc.).

Requirements on AUM

We do not have minimum AUM requirements for the funds to be selected into the indices. In a case where the fund has stopped reporting to us with the latest performance return, it will be removed from the list of current index constituents though it’s historical returns will be locked in and will continue to be reflected in the indices.

Strategies

The CBOE Eurekahedge Short Volatility Hedge Fund Index

The CBOE Eurekahedge Short Volatility Index is an equally
weighted index of 111 constituent
funds. The index is designed to provide a broad measure of the performance of underlying hedge
fund managers who take a net short view on implied volatility with a goal of positive absolute
return. The strategy often involves the selling of options to take advantage of the discrepancies in
current implied volatility versus expectations of subsequent implied or realized volatility.
The CBOE Eurekahedge Short Volatility Index is a collaborative index between Eurekahedge
and the Chicago Board Options Exchange.

The CBOE Eurekahedge Long Volatility Hedge Fund Index

The CBOE Eurekahedge Long Volatility Index is an equally weighted
index of 102 constituent funds. The index
is designed to provide a broad measure of the performance of underlying hedge fund managers who take a
net long view on implied volatility with a goal of positive absolute return. The CBOE Eurekahedge
Long Volatility Index is a collaborative index between Eurekahedge and the Chicago Board Options
Exchange.

The CBOE Eurekahedge Relative Value Volatility Hedge Fund Index

The CBOE Eurekahedge Relative Value Volatility Index is an equally weighted
index of 353 constituent funds.
The index is designed to provide a broad measure of the performance of underlying hedge fund managers
that trade relative value or opportunistic volatility strategies. Managers utilising the strategy can
pursue long, short or neutral views on volatility with a goal of positive absolute return.
The CBOE Eurekahedge Volatility Arbitrage Index is a collaborative index between Eurekahedge
and the Chicago Board Options Exchange.

The CBOE Eurekahedge Tail Risk Hedge Fund Index

The CBOE Eurekahedge Tail Risk Index is an equally weighted index of
84 constituent funds. The index is
designed to provide a broad measure of the performance of underlying hedge fund managers that specifically
seek to achieve capital appreciation during periods of extreme market stress. The CBOE Eurekahedge Tail
Risk Index is a collaborative index between Eurekahedge and the Chicago Board Options Exchange.

For more information on Eurekahedge indices, please contact us on +1 646 380 1932 (US office) or +65 6212 0925(Singapore office), or email us at indices@eurekahedge.com